Whip the Cream: Put heavy cream and sugar in a bowl. Beat it until you see very stiff peaks.
Mix the Cheese: In another bowl, stir the mascarpone cheese. Add vanilla and mix until it is very smooth.
Fold Together: Gently fold the whipped cream into the cheese. Use a slow motion so it stays fluffy.
Prep the Coffee: Pour cold coffee into a shallow dish. Add rum now if you want extra flavor.
Dip the Cookies: Dip each ladyfinger into the coffee quickly. Do not let them get too soggy or soft.
Create First Layer: Place dipped cookies in the bottom of the pan. Line them up in a single, tight row.
Add the Cream: Spread half of the cream over the cookies. Make sure the layer is very smooth and even.
Repeat the Layers: Add another layer of dipped ladyfingers on top. Cover them with the rest of the creamy mixture.
Dust with Cocoa: Use a sieve to sprinkle cocoa over the top. This makes the dessert look very beautiful.
Chill the Dish: Put the pan in the fridge for four hours. It is even better if it stays overnight.